EconPapers    
Economics at your fingertips  
 

Fourth moments of multivariate GARCH processes

Christian Hafner

No 2000,80, SFB 373 Discussion Papers from Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes

Abstract: This paper derives conditions for the existence of fourth moments of multivariate GARCH processes in the general vector specification and gives explicit results for the fourth moments and autocovariances of the squares and cross-products. Results are provided for the kurtosis and co-kurtosis between components. An impulse response function for kurtosis and co-kurtosis is defined that allows to analyse the expectation of the (co-)kurtosis conditional on an initial shock. For a bivariate exchange rate series, these functions indicate that there is a trade-off between conditional variance and conditional kurtosis: the conditional variance increases with the size of the shocks, hut the conditional kurtosis decreases.

Keywords: multivariate GARCH; fourth moments; kurtosis; co-kurtosis; impulse response function (search for similar items in EconPapers)
JEL-codes: C22 (search for similar items in EconPapers)
Date: 2000
References: Add references at CitEc
Citations:

Downloads: (external link)
https://www.econstor.eu/bitstream/10419/62212/1/723856796.pdf (application/pdf)

Related works:
Working Paper: Fourth moments of multivariate GARCH processes (2001) Downloads
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:zbw:sfb373:200080

Access Statistics for this paper

More papers in SFB 373 Discussion Papers from Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes Contact information at EDIRC.
Bibliographic data for series maintained by ZBW - Leibniz Information Centre for Economics (econstor@zbw-workspace.eu).

 
Page updated 2025-03-31
Handle: RePEc:zbw:sfb373:200080